Financial market liquidity is a popular research topic.Investor-driven research uses the turnover rate to measure liquidity and generally finds that the higher the stock turnover rate,the lower the returns.However,the...Financial market liquidity is a popular research topic.Investor-driven research uses the turnover rate to measure liquidity and generally finds that the higher the stock turnover rate,the lower the returns.However,the traditional financial liquidity theory has been impacted by new machine-driven quantitative trading models.To explore high machine-driven liquidity and the impact of high turnover rates on returns,this study establishes a dual-market quantitative trading system,introduces a variational modal decomposition(VMD)-bidirectional gated recurrent unit(BiGRU)model for data prediction,and uses the back-end Hong Kong foreign exchange market to develop a quantitative trading strategy using the same rotating funds in the U.S.and Chinese stock markets.The experimental results show that given a principal amount of 210,000.00 CNY,the final predicted net return is 226,538.30 CNY,a net return of 107.86%,which is 40.6%higher than the net return of a single Chinese market.We conclude that,under machine-driven trading,increasing liquidity and turnover increase returns.This study provides a new perspective on liquidity theory that is useful for future financial market research and quantitative trading practices.展开更多
The cryptocurrency market is a complex and rapidly evolving financial landscape in which understanding the inter-and intra-asset dependencies among key financial variables,such as return and liquidity,is crucial.In th...The cryptocurrency market is a complex and rapidly evolving financial landscape in which understanding the inter-and intra-asset dependencies among key financial variables,such as return and liquidity,is crucial.In this study,we analyze daily return and liquidity data for six major cryptocurrencies,namely Bitcoin,Ethereum,Ripple,Binance Coin,Litecoin,and Dogecoin,spanning the period from June 3,2020,to November 30,2022.Liquidity is estimated using three low-frequency proxies:the Amihud ratio and the Abdi and Ranaldo(AR)and Corwin and Schultz(CS)estimators.To account for autoregressive and persistent effects,we apply the autoregressive integrated moving average-generalized autoregressive conditional heteroscedasticity(ARIMA-GARCH)model and subsequently utilize the copula method to examine the interdependent relationships between the return on and liquidity of the six cryptocurrencies.Our analysis reveals strong cross-asset lower-tail dependence in return and significant cross-asset upper-tail dependence in illiquidity measures,with more pronounced dependence observed in specific cryptocurrency pairs,primarily involving Bitcoin,Ethereum,and Litecoin.We also observe that returns tend to be higher when liquidity is lower in the cryptocurrency market.Our findings have significant implications for portfolio diversification,asset allocation,risk management,and trading strategy development for investors and traders,as well as regulatory policy-making for regulators.This study contributes to a deeper understanding of the cryptocurrency marketplace and can help inform investment decision making and regulatory policies in this emerging financial domain.展开更多
This study aims to identify the factors that robustly contribute to Bitcoin liquidity,employing a rich range of potential determinants that represent unique characteristics of the cryptocurrency industry,investor atte...This study aims to identify the factors that robustly contribute to Bitcoin liquidity,employing a rich range of potential determinants that represent unique characteristics of the cryptocurrency industry,investor attention,macroeconomic fundamentals,and global stress and uncertainty.To construct liquidity metrics,we compile 60-min high-frequency data on the low,high,opening,and closing exchange rates of Bitcoin against the US dollar.Our empirical investigation is based on the extreme bounds analysis(EBA),which can resolve model uncertainty issues.The results of Leamer’s version of the EBA suggest that the realized volatility of Bitcoin is the sole variable relevant to explaining liquidity.With the Sala-i-Martin’s variant of EBA,however,four more variables,(viz.Bitcoin’s negative returns,trading volume,hash rates,and Google search volume)are also labeled as robust determinants.Accordingly,our evidence confirms that Bitcoin-specific factors and developments,rather than global macroeconomic and financial variables,matter for explaining its liquidity.The findings are largely insensitive to our proxy of liquidity and to the estimation method used.展开更多
This study investigates the relationship between stock liquidity and firm innovation for publicly traded growing small and medium-sized enterprises(SMEs)in China using both innovation input and output.We collected sam...This study investigates the relationship between stock liquidity and firm innovation for publicly traded growing small and medium-sized enterprises(SMEs)in China using both innovation input and output.We collected samples of 785 SMEs from China’s Shenzhen Growth Enterprises Market without the financial industry from 2010 to 2020.The empirical findings demonstrate a significant positive relationship between stock liquidity and both innovation input,as measured by R&D investments,and innovation output,as proxied by patenting activities.A series of robustness tests demonstrate the reliability of our results.Increased liquidity enhances SMEs'innovation mainly by alleviating financial constraints,whereas the mediating effect of mergers and acquisitions(M&A)is not apparent at the firm level.Furthermore,the inhibitory effect of blockholder ownership on firm innovation is weak.Further analysis reveals that this favorable impact can last for at least four years,with manufacturing SMEs benefiting the most.Our study shows that the innovation abilities of SMEs can be enhanced by improving stock liquidity,which is mainly driven by tackling financial constraints.展开更多
The financial crisis undoubtedly exerted a pressure on the companies operating in Poland. Thus, it is important to undertake researches that reveal the paths and strength of the transmission of financial crisis with r...The financial crisis undoubtedly exerted a pressure on the companies operating in Poland. Thus, it is important to undertake researches that reveal the paths and strength of the transmission of financial crisis with regard to the business entities. This paper presents partial results of the researches dedicated to the analysis of the impact of financial crisis on the financial situation of companies operating in Silesian Region in Poland. It analyses and discusses the general changes in the financial ratios that inform about the company＇s financial liquidity and the level of liquidity risk. As a research paper, it aims at justifying hypotheses about the changes of liquidity and liquidity risk in companies operating in Poland, Silesian Region within the period of 2006-2009. The tested hypotheses generally indicate the decrease of liquidity in the aftermath of crisis and a worse situation in the Silesian Region, as compared to the national level. The study is based on an application of a part of authors＇ self-developed method--the CFS Watch （Corporate Financial Situation Watch）, which consists of five analytical modules. In this study, one module is applied： the FLA Module （Financial Liquidity Analysis） with regard to financial liquidity and the level of liquidity risk. The research is based on the data collected by the Polish Central Statistical Office. The analysis of FLA Module is based on two samples of companies： companies operating in the Silesian Region （denoted as the MEPP sample）, and companies operating in Poland （denoted as the MAPP sample）. This allows developing a comparative analysis between regional and national dimension. The results of the study represent an interesting starting point for further comparative researches based on the analysis of the changes in the level of liquidity and liquidity risk of companies operating in different countries. It may form a base for finding similarities or differences in their financial situation in the aftermath of the financial crisis. The CFS Watch method in terms of the liquidity can be widely applied to make the results comparable.展开更多
As China opens wider to the outside world, excess liquidity has become an outstanding issue in economic operations. This paper holds that China's liquidity is relatively excessive at the present time, and such exc...As China opens wider to the outside world, excess liquidity has become an outstanding issue in economic operations. This paper holds that China's liquidity is relatively excessive at the present time, and such excess liquidity is a reflection of domestic and foreign economic contradictions on the monetary level. Excess liquidity will pose a potential hazard to macroeconomic operation, and a multi-pronged approach should be taken to curb and control its sources at home and abroad.展开更多
In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance...In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance between the wealth process and the expected wealth process. Then, the dynamic programming methodology is applied to reduce the whole problem to solving the Hamilton-Jacobi--Bellman equation coupled with the liquidity constraint, and the method of Lagrange multiplier is applied to handle the constraint. Finally, a numerical method is proposed to solve the constrained HJB equation and the constrained optimal strategy. Especially, the explicit solution to this optimal problem is derived when there is no liquidity constraint.展开更多
We examine the dynamics of liquidity connectedness in the cryptocurrency market.We use the connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Baruník and Křehlík(J Financ Econom ...We examine the dynamics of liquidity connectedness in the cryptocurrency market.We use the connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Baruník and Křehlík(J Financ Econom 16(2):271–296,2018)on a sample of six major cryptocurrencies,namely,Bitcoin(BTC),Litecoin(LTC),Ethereum(ETH),Ripple(XRP),Monero(XMR),and Dash.Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies,whereas BTC and LTC play a significant role in connectedness magnitude.A distinct liquidity cluster is observed for BTC,LTC,and XRP,and ETH,XMR,and Dash also form another distinct liquidity cluster.The frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium-and long-run time horizons.In the short run,BTC,LTC,and XRP are the leading contributor to liquidity shocks,whereas,in the long run,ETH assumes this role.Compared with the medium term,a tight liquidity clustering is found in the short and long terms.The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time,pointing to the possible effect of rising demand and higher acceptability for this unique asset.Furthermore,more pronounced liquidity connectedness patterns are observed over the short and long run,reinforcing that liquidity connectedness in the cryptocurrency market is a phenomenon dependent on the time–frequency connectedness.展开更多
The underpricing of initial public offerings （IPOs） is generally explained with asymmetric information and risk. We complement these traditional explanations with a new theory proposed by Ellul and Pagano （2006） w...The underpricing of initial public offerings （IPOs） is generally explained with asymmetric information and risk. We complement these traditional explanations with a new theory proposed by Ellul and Pagano （2006） where investors worry also about the after-market illiquidity that may result from asymmetric information after the IPO. The less liquid the after-market is expected to be, the larger will be the IPO underpricing. The samples are the 41 IPOs carried out between 2001-2005. The samples are 7 Shari＇ah-based firms and 34 non Shariah-based firms. Shariah-based firms are those included in Jakarta Islamic Index （JII）, at least one period （one semester）. Regression results show that the relationship between after-market liquidity and underpricing is insignificant unless we use trading frequency as proxy for liquidity for non Shariah-based firms.展开更多
This paper explores the effect of informed trading, heterogeneity investment and liquidity shocks on the valuation of credit default swaps(CDSs). Under the condition of asymmetric information, the informed trading pla...This paper explores the effect of informed trading, heterogeneity investment and liquidity shocks on the valuation of credit default swaps(CDSs). Under the condition of asymmetric information, the informed trading plays an important role in the valuation of CDS. Instruction order flow has a significant influence on CDS price.And the scope of influence changes in accordance with different time interval, company status and the size of bid-ask spread. Heterogeneity of investors seriously affects the market liquidity and subsequently affects the CDS price. The bigger heterogeneity of the investment philosophy, investment habits, investment preference and so on is the bigger risk for market liquidity, and the higher price for CDS shall be. On the contrary, the conclusion is also consistent. The effectiveness of liquidity, whether it is before or after the financial crisis, dominates the fluctuation of CDS price. The premium of liquidity accounts for 36% to 50% of the CDS price.展开更多
Previous empirical evidence on the liquidity effect to the lockup expiration is mixed. A sample from Chinese listed firms is adopted and contributes to better understand this effect in emerging markets. The spread and...Previous empirical evidence on the liquidity effect to the lockup expiration is mixed. A sample from Chinese listed firms is adopted and contributes to better understand this effect in emerging markets. The spread and illiquidity significantly increases around lockup expiration in China. Furthermore, the liquidity reaction to firms' disclosure quality is explicitly related. The results confirm that higher disclosure quality is significantly associated with lower abnormal spread and illiquidity impact. The effect of lockup expiration shares on liquidity proxies differs in firm disclosure quality. Identifying the factors affecting liquidity around such events may help regulators develop policies to provide investors with greater confidence in their investments.展开更多
This study examined momentum profitability in Australia,providing further evidence for intermediate-term momentum profitability.Using data spanning different market states,we found that momentum was stronger after the...This study examined momentum profitability in Australia,providing further evidence for intermediate-term momentum profitability.Using data spanning different market states,we found that momentum was stronger after the global financial crisis.We also examined industry-level momentum strategies and found strong evidence for industry momentum.Specifically,industries that perform well relative to other industries continue to outperform others while those that underperform continue to perform poorly.This finding suggests the exploitability of return continuation and profit-making opportunities for traders at the industry level.Regarding liquidity,we found that it has no clear predictive power for momentum returns.Hence,our results do not appear to support the conjecture that liquidity can be a determining factor for momentum profitability in Australia.展开更多
This article views China's excess liquidity problem in the global context. It suggests that market mechanisms, cooperation between all parties involved, and liquidity diversion, be resorted to in order to tackle t...This article views China's excess liquidity problem in the global context. It suggests that market mechanisms, cooperation between all parties involved, and liquidity diversion, be resorted to in order to tackle the problem of excessive liquidity. This article also points out that the top priority is to solve the major problems, such as the current account surplus, the sources of excessive liquidity, the shortage of capital in rural areas, and the cause of capital distribution imbalance.展开更多
In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price ...In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.展开更多
The Zimbabwean financial sector has been retrogressive,constrained,and unpredictable since the year 2000,serving for the multiple currency periods(2009-2013)after the demonetization of the domestic dollar.The sector s...The Zimbabwean financial sector has been retrogressive,constrained,and unpredictable since the year 2000,serving for the multiple currency periods(2009-2013)after the demonetization of the domestic dollar.The sector since then has seen a number of commercial banks fail to meet RBZ(Reserve Bank of Zimbabwe)minimum capital requirements,put under curatorship,delisted or liquidated because of a myriad of operational and financial challenges.The objective of this study is to make an assessment of whether or not the introduction of bond notes has been a curse or blessing.The study drew raw data from bank account holders,academics,general public,corporate world and commercial banks in Masvingo for analysis and interpretation.The study established that the majority of people,corporate world and commercial banks were sceptical to embrace the surrogate bond notes because of the uncertainties,operational and financial risks that they paused on the domestic financial markets.It was also discovered that most banks were quick to pay clients’withdrawals in bond notes,deduct US dollar equivalences from their accounts,and distinguish bond notes from US dollars at the point of making deposits and foreign business transactions.It was also realized that there was market indiscipline and trading in bigger US dollar notes in the informal sector and serious shortage of the same notes in the formal sector.The study concluded that the introduction of bond notes to trade parallel to the US dollar brought a serious shortage of cash on formal markets and increases in the general price level of goods and services.The study therefore recommends that the RBZ should completely withdraw the bond notes from the market to accord the US dollar its world market value and restore confidence and discipline in the Zimbabwean financial sector.The study also recommends another option of the adoption of the South African Rand as an interventionist way of solving Zimbabwe’s liquidity crises.展开更多
One of the main causes of the past crisis was the inability of financial institutions to acquire funding at appropriate costs.The importance of applying a good liquidity risk measurement system becomes apparent.The pr...One of the main causes of the past crisis was the inability of financial institutions to acquire funding at appropriate costs.The importance of applying a good liquidity risk measurement system becomes apparent.The present paper provides an approach to the measurement of liquidity maturity transformation risk within a stress testing framework,for middle-sized banks.The costs of liquidity arising due to a downturn in refinancing conditions are calculated by using modern risk measures.The forward-looking way is based on a liquidity gap report,where the consideration of the counterbalancing capacity enables to gain an insight into the real liquidity needs.The measurement of both,the portfolio-value in the respective time bucket and liquidity costs,is possible.Applying the expected shortfall can easily be included into the calculation.The results show that by using historical simulation,if no sufficient data are available,expected shortfall delivers an approximate value.Still,it can serve as an indicator of insurance against extreme events.The present approach combines a scenario-based view to a possible distress with a quantitative risk measurement.Therewith,it contributes to the bank’s wide stress testing as required by the regulatory authorities.展开更多
Property-Keep stepping on the brakes The Hong Kong Monetary Authority (HKMA) on 10 June announced new measures to tackle housing-price in- flation. The intention this time, as in previous rounds, is to limit leverage....Property-Keep stepping on the brakes The Hong Kong Monetary Authority (HKMA) on 10 June announced new measures to tackle housing-price in- flation. The intention this time, as in previous rounds, is to limit leverage. The government also said it would introduce more land supply in Q3-2011, which would create about 6,000 new residential units. In 2010, 13,405 residential units were completed. The HKMA’s latest measures came as leverage展开更多
This paper studies the relationship between fund investment and market liquidity by using Chinese security market data. The results show that, among several measures of market liquidity, the indexes based on volume, s...This paper studies the relationship between fund investment and market liquidity by using Chinese security market data. The results show that, among several measures of market liquidity, the indexes based on volume, such as turnover and market depth, have a deeper impact on fund investment decision. Furthermore, the relationship between security liquidity and fund investment varies when market status is taken into account. On the other hand, fund investments have a negative effect on security liquidity measured by market width, while have a positive effect on other liquidity measures. The authors attribute the results to herding behavior of fund investment.展开更多
After the outbreak of the international financial crisis,the People’s Bank of China,based on traditional monetary policy tools,launched a series of structural monetary policy tools such as standing lending facility(S...After the outbreak of the international financial crisis,the People’s Bank of China,based on traditional monetary policy tools,launched a series of structural monetary policy tools such as standing lending facility(SLF),medium-term lending facility(MLF),and pledged supplementary lending(PSL)and targeted at liquidity via the commercial banking system.In order to test the credit transmission effect of structured monetary policy,this paper empirically analyzes the relationship between structured monetary policy,bank liquidity and bank credit based on the VAR model.The research shows that the implementation of structured monetary policy reduces the liquidity of commercial banks in the short term and increases in loans to small or micro enterprises and agriculture-related loans,these policies have produced significant short-term effects on credit transmission in steady of long-term effects.Thus,a series of supporting measures are needed to fully exert the effects of structural monetary policy.展开更多
基金supported by the National Natural Science Foundation of China(Grant Nos.:72032006 and 92146005).
文摘Financial market liquidity is a popular research topic.Investor-driven research uses the turnover rate to measure liquidity and generally finds that the higher the stock turnover rate,the lower the returns.However,the traditional financial liquidity theory has been impacted by new machine-driven quantitative trading models.To explore high machine-driven liquidity and the impact of high turnover rates on returns,this study establishes a dual-market quantitative trading system,introduces a variational modal decomposition(VMD)-bidirectional gated recurrent unit(BiGRU)model for data prediction,and uses the back-end Hong Kong foreign exchange market to develop a quantitative trading strategy using the same rotating funds in the U.S.and Chinese stock markets.The experimental results show that given a principal amount of 210,000.00 CNY,the final predicted net return is 226,538.30 CNY,a net return of 107.86%,which is 40.6%higher than the net return of a single Chinese market.We conclude that,under machine-driven trading,increasing liquidity and turnover increase returns.This study provides a new perspective on liquidity theory that is useful for future financial market research and quantitative trading practices.
基金supported by the award of“Pioneering Innovator”from Guangzhou Tianhe Distinct government.
文摘The cryptocurrency market is a complex and rapidly evolving financial landscape in which understanding the inter-and intra-asset dependencies among key financial variables,such as return and liquidity,is crucial.In this study,we analyze daily return and liquidity data for six major cryptocurrencies,namely Bitcoin,Ethereum,Ripple,Binance Coin,Litecoin,and Dogecoin,spanning the period from June 3,2020,to November 30,2022.Liquidity is estimated using three low-frequency proxies:the Amihud ratio and the Abdi and Ranaldo(AR)and Corwin and Schultz(CS)estimators.To account for autoregressive and persistent effects,we apply the autoregressive integrated moving average-generalized autoregressive conditional heteroscedasticity(ARIMA-GARCH)model and subsequently utilize the copula method to examine the interdependent relationships between the return on and liquidity of the six cryptocurrencies.Our analysis reveals strong cross-asset lower-tail dependence in return and significant cross-asset upper-tail dependence in illiquidity measures,with more pronounced dependence observed in specific cryptocurrency pairs,primarily involving Bitcoin,Ethereum,and Litecoin.We also observe that returns tend to be higher when liquidity is lower in the cryptocurrency market.Our findings have significant implications for portfolio diversification,asset allocation,risk management,and trading strategy development for investors and traders,as well as regulatory policy-making for regulators.This study contributes to a deeper understanding of the cryptocurrency marketplace and can help inform investment decision making and regulatory policies in this emerging financial domain.
文摘This study aims to identify the factors that robustly contribute to Bitcoin liquidity,employing a rich range of potential determinants that represent unique characteristics of the cryptocurrency industry,investor attention,macroeconomic fundamentals,and global stress and uncertainty.To construct liquidity metrics,we compile 60-min high-frequency data on the low,high,opening,and closing exchange rates of Bitcoin against the US dollar.Our empirical investigation is based on the extreme bounds analysis(EBA),which can resolve model uncertainty issues.The results of Leamer’s version of the EBA suggest that the realized volatility of Bitcoin is the sole variable relevant to explaining liquidity.With the Sala-i-Martin’s variant of EBA,however,four more variables,(viz.Bitcoin’s negative returns,trading volume,hash rates,and Google search volume)are also labeled as robust determinants.Accordingly,our evidence confirms that Bitcoin-specific factors and developments,rather than global macroeconomic and financial variables,matter for explaining its liquidity.The findings are largely insensitive to our proxy of liquidity and to the estimation method used.
基金supported by a scholarship from China Scholarship Council under Grant 202109210019.
文摘This study investigates the relationship between stock liquidity and firm innovation for publicly traded growing small and medium-sized enterprises(SMEs)in China using both innovation input and output.We collected samples of 785 SMEs from China’s Shenzhen Growth Enterprises Market without the financial industry from 2010 to 2020.The empirical findings demonstrate a significant positive relationship between stock liquidity and both innovation input,as measured by R&D investments,and innovation output,as proxied by patenting activities.A series of robustness tests demonstrate the reliability of our results.Increased liquidity enhances SMEs'innovation mainly by alleviating financial constraints,whereas the mediating effect of mergers and acquisitions(M&A)is not apparent at the firm level.Furthermore,the inhibitory effect of blockholder ownership on firm innovation is weak.Further analysis reveals that this favorable impact can last for at least four years,with manufacturing SMEs benefiting the most.Our study shows that the innovation abilities of SMEs can be enhanced by improving stock liquidity,which is mainly driven by tackling financial constraints.
文摘The financial crisis undoubtedly exerted a pressure on the companies operating in Poland. Thus, it is important to undertake researches that reveal the paths and strength of the transmission of financial crisis with regard to the business entities. This paper presents partial results of the researches dedicated to the analysis of the impact of financial crisis on the financial situation of companies operating in Silesian Region in Poland. It analyses and discusses the general changes in the financial ratios that inform about the company＇s financial liquidity and the level of liquidity risk. As a research paper, it aims at justifying hypotheses about the changes of liquidity and liquidity risk in companies operating in Poland, Silesian Region within the period of 2006-2009. The tested hypotheses generally indicate the decrease of liquidity in the aftermath of crisis and a worse situation in the Silesian Region, as compared to the national level. The study is based on an application of a part of authors＇ self-developed method--the CFS Watch （Corporate Financial Situation Watch）, which consists of five analytical modules. In this study, one module is applied： the FLA Module （Financial Liquidity Analysis） with regard to financial liquidity and the level of liquidity risk. The research is based on the data collected by the Polish Central Statistical Office. The analysis of FLA Module is based on two samples of companies： companies operating in the Silesian Region （denoted as the MEPP sample）, and companies operating in Poland （denoted as the MAPP sample）. This allows developing a comparative analysis between regional and national dimension. The results of the study represent an interesting starting point for further comparative researches based on the analysis of the changes in the level of liquidity and liquidity risk of companies operating in different countries. It may form a base for finding similarities or differences in their financial situation in the aftermath of the financial crisis. The CFS Watch method in terms of the liquidity can be widely applied to make the results comparable.
文摘As China opens wider to the outside world, excess liquidity has become an outstanding issue in economic operations. This paper holds that China's liquidity is relatively excessive at the present time, and such excess liquidity is a reflection of domestic and foreign economic contradictions on the monetary level. Excess liquidity will pose a potential hazard to macroeconomic operation, and a multi-pronged approach should be taken to curb and control its sources at home and abroad.
基金Supported in part by the National Natural ScienceFoundation of China (10671149)the Ministry of Education of China (NCET-04-0667)
文摘In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance between the wealth process and the expected wealth process. Then, the dynamic programming methodology is applied to reduce the whole problem to solving the Hamilton-Jacobi--Bellman equation coupled with the liquidity constraint, and the method of Lagrange multiplier is applied to handle the constraint. Finally, a numerical method is proposed to solve the constrained HJB equation and the constrained optimal strategy. Especially, the explicit solution to this optimal problem is derived when there is no liquidity constraint.
基金support of Science Foundation Ireland under Grant Number 16/SPP/3347.
文摘We examine the dynamics of liquidity connectedness in the cryptocurrency market.We use the connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Baruník and Křehlík(J Financ Econom 16(2):271–296,2018)on a sample of six major cryptocurrencies,namely,Bitcoin(BTC),Litecoin(LTC),Ethereum(ETH),Ripple(XRP),Monero(XMR),and Dash.Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies,whereas BTC and LTC play a significant role in connectedness magnitude.A distinct liquidity cluster is observed for BTC,LTC,and XRP,and ETH,XMR,and Dash also form another distinct liquidity cluster.The frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium-and long-run time horizons.In the short run,BTC,LTC,and XRP are the leading contributor to liquidity shocks,whereas,in the long run,ETH assumes this role.Compared with the medium term,a tight liquidity clustering is found in the short and long terms.The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time,pointing to the possible effect of rising demand and higher acceptability for this unique asset.Furthermore,more pronounced liquidity connectedness patterns are observed over the short and long run,reinforcing that liquidity connectedness in the cryptocurrency market is a phenomenon dependent on the time–frequency connectedness.
文摘The underpricing of initial public offerings （IPOs） is generally explained with asymmetric information and risk. We complement these traditional explanations with a new theory proposed by Ellul and Pagano （2006） where investors worry also about the after-market illiquidity that may result from asymmetric information after the IPO. The less liquid the after-market is expected to be, the larger will be the IPO underpricing. The samples are the 41 IPOs carried out between 2001-2005. The samples are 7 Shari＇ah-based firms and 34 non Shariah-based firms. Shariah-based firms are those included in Jakarta Islamic Index （JII）, at least one period （one semester）. Regression results show that the relationship between after-market liquidity and underpricing is insignificant unless we use trading frequency as proxy for liquidity for non Shariah-based firms.
基金the National Social Science Foundation of China(No.11BGJ013)
文摘This paper explores the effect of informed trading, heterogeneity investment and liquidity shocks on the valuation of credit default swaps(CDSs). Under the condition of asymmetric information, the informed trading plays an important role in the valuation of CDS. Instruction order flow has a significant influence on CDS price.And the scope of influence changes in accordance with different time interval, company status and the size of bid-ask spread. Heterogeneity of investors seriously affects the market liquidity and subsequently affects the CDS price. The bigger heterogeneity of the investment philosophy, investment habits, investment preference and so on is the bigger risk for market liquidity, and the higher price for CDS shall be. On the contrary, the conclusion is also consistent. The effectiveness of liquidity, whether it is before or after the financial crisis, dominates the fluctuation of CDS price. The premium of liquidity accounts for 36% to 50% of the CDS price.
基金the China Postdoctoral Science Foundation(No.2015M571546)the National Natural Science Foundation of China(No.73120107002)
文摘Previous empirical evidence on the liquidity effect to the lockup expiration is mixed. A sample from Chinese listed firms is adopted and contributes to better understand this effect in emerging markets. The spread and illiquidity significantly increases around lockup expiration in China. Furthermore, the liquidity reaction to firms' disclosure quality is explicitly related. The results confirm that higher disclosure quality is significantly associated with lower abnormal spread and illiquidity impact. The effect of lockup expiration shares on liquidity proxies differs in firm disclosure quality. Identifying the factors affecting liquidity around such events may help regulators develop policies to provide investors with greater confidence in their investments.
基金supported by Xiamen University Malaysia Research Fund(Grant No:XMUMRF/2019-C3/ISEM/0016).
文摘This study examined momentum profitability in Australia,providing further evidence for intermediate-term momentum profitability.Using data spanning different market states,we found that momentum was stronger after the global financial crisis.We also examined industry-level momentum strategies and found strong evidence for industry momentum.Specifically,industries that perform well relative to other industries continue to outperform others while those that underperform continue to perform poorly.This finding suggests the exploitability of return continuation and profit-making opportunities for traders at the industry level.Regarding liquidity,we found that it has no clear predictive power for momentum returns.Hence,our results do not appear to support the conjecture that liquidity can be a determining factor for momentum profitability in Australia.
文摘This article views China's excess liquidity problem in the global context. It suggests that market mechanisms, cooperation between all parties involved, and liquidity diversion, be resorted to in order to tackle the problem of excessive liquidity. This article also points out that the top priority is to solve the major problems, such as the current account surplus, the sources of excessive liquidity, the shortage of capital in rural areas, and the cause of capital distribution imbalance.
文摘In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.
文摘The Zimbabwean financial sector has been retrogressive,constrained,and unpredictable since the year 2000,serving for the multiple currency periods(2009-2013)after the demonetization of the domestic dollar.The sector since then has seen a number of commercial banks fail to meet RBZ(Reserve Bank of Zimbabwe)minimum capital requirements,put under curatorship,delisted or liquidated because of a myriad of operational and financial challenges.The objective of this study is to make an assessment of whether or not the introduction of bond notes has been a curse or blessing.The study drew raw data from bank account holders,academics,general public,corporate world and commercial banks in Masvingo for analysis and interpretation.The study established that the majority of people,corporate world and commercial banks were sceptical to embrace the surrogate bond notes because of the uncertainties,operational and financial risks that they paused on the domestic financial markets.It was also discovered that most banks were quick to pay clients’withdrawals in bond notes,deduct US dollar equivalences from their accounts,and distinguish bond notes from US dollars at the point of making deposits and foreign business transactions.It was also realized that there was market indiscipline and trading in bigger US dollar notes in the informal sector and serious shortage of the same notes in the formal sector.The study concluded that the introduction of bond notes to trade parallel to the US dollar brought a serious shortage of cash on formal markets and increases in the general price level of goods and services.The study therefore recommends that the RBZ should completely withdraw the bond notes from the market to accord the US dollar its world market value and restore confidence and discipline in the Zimbabwean financial sector.The study also recommends another option of the adoption of the South African Rand as an interventionist way of solving Zimbabwe’s liquidity crises.
文摘One of the main causes of the past crisis was the inability of financial institutions to acquire funding at appropriate costs.The importance of applying a good liquidity risk measurement system becomes apparent.The present paper provides an approach to the measurement of liquidity maturity transformation risk within a stress testing framework,for middle-sized banks.The costs of liquidity arising due to a downturn in refinancing conditions are calculated by using modern risk measures.The forward-looking way is based on a liquidity gap report,where the consideration of the counterbalancing capacity enables to gain an insight into the real liquidity needs.The measurement of both,the portfolio-value in the respective time bucket and liquidity costs,is possible.Applying the expected shortfall can easily be included into the calculation.The results show that by using historical simulation,if no sufficient data are available,expected shortfall delivers an approximate value.Still,it can serve as an indicator of insurance against extreme events.The present approach combines a scenario-based view to a possible distress with a quantitative risk measurement.Therewith,it contributes to the bank’s wide stress testing as required by the regulatory authorities.
文摘Property-Keep stepping on the brakes The Hong Kong Monetary Authority (HKMA) on 10 June announced new measures to tackle housing-price in- flation. The intention this time, as in previous rounds, is to limit leverage. The government also said it would introduce more land supply in Q3-2011, which would create about 6,000 new residential units. In 2010, 13,405 residential units were completed. The HKMA’s latest measures came as leverage
文摘This paper studies the relationship between fund investment and market liquidity by using Chinese security market data. The results show that, among several measures of market liquidity, the indexes based on volume, such as turnover and market depth, have a deeper impact on fund investment decision. Furthermore, the relationship between security liquidity and fund investment varies when market status is taken into account. On the other hand, fund investments have a negative effect on security liquidity measured by market width, while have a positive effect on other liquidity measures. The authors attribute the results to herding behavior of fund investment.
文摘After the outbreak of the international financial crisis,the People’s Bank of China,based on traditional monetary policy tools,launched a series of structural monetary policy tools such as standing lending facility(SLF),medium-term lending facility(MLF),and pledged supplementary lending(PSL)and targeted at liquidity via the commercial banking system.In order to test the credit transmission effect of structured monetary policy,this paper empirically analyzes the relationship between structured monetary policy,bank liquidity and bank credit based on the VAR model.The research shows that the implementation of structured monetary policy reduces the liquidity of commercial banks in the short term and increases in loans to small or micro enterprises and agriculture-related loans,these policies have produced significant short-term effects on credit transmission in steady of long-term effects.Thus,a series of supporting measures are needed to fully exert the effects of structural monetary policy.
